Based on current macro regime conditions and china treasury holdings's historical behaviour in similar regimes, the model projects 749,952.62 by 2026-12-31 ( +8.2% from 693,300 today). The 68% confidence range is 661,069.75 to 838,835.49; the wider 95% range is 575,742.19 to 924,163.05. Methodology below the headline.
China Treasury Holdings Forecast 2026
Quantitative analysis from 297 observations of China Treasury Holdings history, joined to four universal macro regime classifications. Numbers are computed, not narrated.
Performance by Window[02]
| WINDOW | N | ANN RET | ANN VOL | RET/VOL | HIT % | TOTAL |
|---|---|---|---|---|---|---|
| 1Y | 13 | -11.61% | 6.07% | -1.91 | 16.7% | -11.60% |
| 3Y | 35 | -7.47% | 6.46% | -1.15 | 23.5% | -20.25% |
| 5Y | 60 | -8.89% | 5.84% | -1.52 | 22.0% | -37.21% |
| 10Y | 120 | -5.74% | 5.64% | -1.02 | 32.8% | -44.64% |
| All | 297 | 9.76% | 14.01% | 0.70 | 50.0% | 901.88% |
Annualized total return = (1 + total)^(1/years) - 1. Ret/Vol is the annualized return divided by annualized volatility (Sharpe-equivalent without risk-free subtraction). Hit % = pct of single periods that were positive.
Where We Are Now[03]
Forward Returns by Macro Regime[04]
How China Treasury Holdings has performed historically conditional on the prevailing macro regime. The current bucket is highlighted; +1Y averages drive the headline signal above.
| REGIME BUCKET | N | +30D | +90D | +1Y AVG | +1Y MED | HIT % |
|---|---|---|---|---|---|---|
| Low (<15) | 64 | 1.25% | 3.65% | 10.63% | 1.40% | 58.7% |
| Normal (15-25) | 104 | 0.37% | 2.93% | 11.26% | 0.36% | 53.1% |
| Elevated (25-40) | 35 | 2.39% | 4.20% | 14.73% | 12.46% | 57.1% |
| Extreme (>40) | 5 | 0.69% | 5.44% | 13.86% | 16.58% | 80.0% |
| REGIME BUCKET | N | +30D | +90D | +1Y AVG | +1Y MED | HIT % |
|---|---|---|---|---|---|---|
| Inverted (<0bps) | 27 | 0.42% | 0.27% | 2.70% | -3.82% | 33.3% |
| Flat (0-100bps) | 74 | 0.19% | 0.87% | 5.47% | -2.39% | 41.8% |
| Steep (>100bps) | 107 | 1.68% | 5.97% | 17.93% | 11.29% | 71.0% |
| REGIME BUCKET | N | +30D | +90D | +1Y AVG | +1Y MED | HIT % |
|---|---|---|---|---|---|---|
| Tight (<350bps) | 39 | -0.48% | -2.09% | -8.92% | -9.89% | 0.0% |
| Normal (350-500bps) | 65 | -0.28% | -1.23% | -3.16% | -3.41% | 22.2% |
| Stressed (>500bps) | 29 | -0.67% | -2.51% | -6.36% | -4.84% | 17.2% |
| REGIME BUCKET | N | +30D | +90D | +1Y AVG | +1Y MED | HIT % |
|---|---|---|---|---|---|---|
| Weak (bottom tercile) | 32 | 0.83% | 6.04% | 22.19% | 21.75% | 78.1% |
| Neutral (middle) | 38 | 1.68% | 1.83% | 3.95% | 0.35% | 52.9% |
| Strong (top tercile) | 88 | -0.28% | -0.90% | -2.67% | -3.32% | 25.9% |
Forward returns are forward-looking from each historical observation in the bucket; +252d corresponds to one trading year. Buckets with fewer than 5 forward-return observations are reported as n/a. These are conditional historical averages, not forecasts.
Lead-Lag Relationships[05]
For each universally-recognised leading indicator, the lag at which the daily-return correlation peaks. Positive lag means the anchor leads China Treasury Holdings; negative means it lags.
| ANCHOR | ROLE | PEAK LAG | PEAK CORR | ZERO-LAG | RELATIONSHIP |
|---|---|---|---|---|---|
| NFCI | Financial conditions | +32d | 0.499 | -0.014 | leads target by 32d |
| 10Y-2Y Yield Spread | Recession leader | +53d | -0.416 | -0.001 | leads target by 53d |
| Initial Jobless Claims | Labor leader | +45d | 0.357 | -0.030 | leads target by 45d |
| HY OAS Spread | Credit risk leader | -14d | 0.269 | -0.038 | lags target by 14d |
| Copper | Global growth proxy | +51d | 0.169 | 0.083 | leads target by 51d |
| VIX | Volatility leader | +56d | -0.155 | 0.031 | leads target by 56d |
| 10Y Treasury Yield | Discount-rate driver | -1d | -0.153 | -0.074 | coincident |
| Baa-10Y Spread | Credit risk (slow) | -5d | -0.150 | 0.002 | lags target by 5d |
| Trade-Weighted Dollar | FX driver | -57d | -0.149 | -0.139 | weak |
| U-Mich Consumer Sentiment | Survey leader | 0d | 0.000 | 0.000 | weak |
Pearson correlation of daily returns over up to 25 years of overlapping history, searched across a ±60-day lag grid. Indicators classified as “weak” don't have meaningful predictive power at daily resolution; many of these (yield curve, NFCI, sentiment) lead at monthly/quarterly horizons instead.
Historical Analogs[06]
Periods where China Treasury Holdings sat at a similar percentile rank to today, with what happened over the next 30 / 90 / 252 trading days. Analogs are clustered to avoid double-counting nearby dates.
| DATE | VALUE | +30D | +90D | +1Y |
|---|---|---|---|---|
| Dec 31, 2024 | 759000.0000 | 3.33% | -3.47% | -8.51% |
| Sep 30, 2024 | 772000.0000 | -1.54% | 1.59% | -10.92% |
| May 31, 2024 | 768300.0000 | 1.55% | 0.48% | -4.80% |
| Feb 29, 2024 | 775000.0000 | -0.98% | 0.67% | -1.24% |
| Oct 31, 2023 | 769600.0000 | 1.61% | 0.70% | -1.23% |
Worst Historical Drawdown[07]
Largest Single-Period Moves[09]
- Jul 31, 201032.17%
- Jul 31, 200521.82%
- Jul 31, 200921.06%
- Jul 31, 200219.63%
- Jul 31, 200718.46%
- Dec 31, 2011-8.19%
- Nov 30, 2016-5.95%
- Jul 31, 2025-4.89%
- Sep 30, 2022-3.93%
- Dec 31, 2009-3.68%
Calendar-Month Seasonality[10]
Average single-period return aggregated by the calendar month in which the period ended.
| MONTH | AVG RETURN | HIT % | N |
|---|---|---|---|
| January | 0.20% | 50.0% | 24 |
| February | 0.26% | 52.0% | 25 |
| March | 1.24% | 54.2% | 24 |
| April | 0.23% | 50.0% | 24 |
| May | -0.01% | 58.3% | 24 |
| June | -0.06% | 44.0% | 25 |
| July | 6.93% | 64.0% | 25 |
| August | 0.20% | 40.0% | 25 |
| September | 0.01% | 36.0% | 25 |
| October | 0.30% | 44.0% | 25 |
| November | 0.59% | 52.0% | 25 |
| December | 0.29% | 56.0% | 25 |
N = 297 OBS · GENERATED 2026-05-18 13:30Z
Forecast Approach
regime implied: The current macro regime classification (Goldilocks, Reflation, Stagflation, or Deflation) dictates the expected direction and magnitude of movement, calibrated against historical regime performance.
Key Drivers & Risks
- •Macro regime
- •Monetary policy
- •Risk appetite
Historical Volatility
Moderate
Frequently Asked Questions
What factors could push China Treasury Holdings higher?▾
The primary drivers that tend to lift China Treasury Holdings depend on the current macro regime. Global trade flows carry early signals about inflation and growth that show up in U.S. prints with a lag. The NY Fed Global Supply Chain Pressure Index condenses shipping rates, delivery times, and backlogs into a single number, while Treasury TIC data reveals which foreign creditors are accumulating or shedding U.S. debt. Together they map how real goods and dollar balances circulate through the global system. Convex tracks these drivers live across the TIC Foreign Holdings category and flags when multiple forces align in the same direction. See the "Key Drivers & Risks" section on this page for the current list, and check the regime dashboard for how the macro backdrop is currently tilted.
What factors could push China Treasury Holdings lower?▾
The same transmission channels that drive China Treasury Holdings higher operate in reverse when conditions flip. The risk drivers listed above map directly to scenarios that, if triggered, would pull this metric in the opposite direction. Convex aggregates these into a scenario-weighted probability distribution rather than a point forecast, so the magnitude depends on which scenarios activate.
Where does consensus see China Treasury Holdings heading?▾
Rather than publish a point target that goes stale the day after release, Convex assembles consensus from the macro regime classification, active scenario probabilities, and historical base rates. Point forecasts from banks and strategists are worth reading for context, but they typically cluster around the consensus and miss the tail events that actually move markets. The scenario-weighted approach here captures that tail risk explicitly.
What is the historical range for China Treasury Holdings?▾
Historical ranges for China Treasury Holdings vary dramatically by regime. A level that is extreme in Goldilocks can be routine in Stagflation, and vice versa. The Historical Volatility section on this page describes the typical range and regime-specific behavior. For the full multi-decade history, visit the China Treasury Holdings chart page, which includes selectable time ranges up to five years and downloadable data.
How often is the China Treasury Holdings forecast updated?▾
This forecast page recalculates whenever the underlying data or regime classification changes, typically within hours of new data releases. The scenario probabilities refresh daily as the macro state is regenerated. Specific drivers listed on this page reflect the current state of the Convex regime engine, not static historical assumptions.
Is this forecast actionable for trading?▾
Convex forecasts are informational and educational. They describe probability distributions and regime-conditional paths rather than specific entry and exit levels. Traders and portfolio managers use them alongside other inputs including position sizing rules, risk management, and their own conviction calibration. They are not investment advice.
Get forecast updates for China Treasury Holdings and related indicators.
Forecasts are model-based projections derived from current regime classification, scenario probabilities, and historical patterns. They are not investment advice. All investments involve risk.